Abstract #301869

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JSM 2003 Abstract #301869
Activity Number: 98
Type: Contributed
Date/Time: Monday, August 4, 2003 : 9:00 AM to 10:50 AM
Sponsor: Section on Physical and Engineering Sciences
Abstract - #301869
Title: Nonstationary Data Analysis by Time Deformation
Author(s): Henry L. Gray*+ and ChuPing Vijverberg and Wayne A. Woodward and Krista Cohlmia
Companies: Southern Methodist University and Southern Methodist and Southern Methodist University and Southern Methodist Unviersity
Address: Statistical Science Dept., Dallas, TX, 75275-0001,
Keywords: nonstationary ; time series ; wavelets ; time deformation
Abstract:

Many nonstationary time series are characterized by period and frequency changes in time. Standard classical procedures can only provide meaningful analyses of such time series over very short data lengths. Wavelets have been used to address this type of time series via such tools as the timescale plot, but unfortunately, the wavelet analysis typically only describes the manner in which the frequency changes. These techniques may do little for characterizing the frequency content or forecasting the signal. We introduce a general approach for analyzing nonstationary time series whose frequencies change continuously in time. The concepts of instantaneous frequency and period are defined.

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